Question #66
Reading: Reading 27 Valuation and Analysis of Bonds With Embedded Options
PDF File: Reading 27 Valuation and Analysis of Bonds With Embedded Options.pdf
Page: 21
Status: Unattempted
Question
Using the following interest rate tree, what is the value of a callable bond that has two years remaining to maturity, a call price of 99, and a 2.50% coupon rate? Assume that the call option can be exercised at t=1 year from now. 3.80% 3.18% 2.61%
Answer Choices:
A. 99.21
B. 98.25
C. 98.65
No explanation available for this question.